The purpose of this study is to investigate empirically the relationship between inflation rate and stock market return in Korean stock market.
After the literature was reviewed, two regression models were tested for two periods, 1976-1980 and 1981-1...
The purpose of this study is to investigate empirically the relationship between inflation rate and stock market return in Korean stock market.
After the literature was reviewed, two regression models were tested for two periods, 1976-1980 and 1981-1986.
The results show that there exists strong negative relation between two variables in the higher inflation period, on the contrary unsignificant positive relation in the lower inflation period.
The major feature of this study is the use of Box-Jenkins' ARIMA fitted values as measures of expected inflation rates. But this study has many limitations and weaknesses from the view of theory building and research methodology, thus some directions of study are suggested.